arXiv research

In this paper, we present a multi-period trading model by assuming that traders face not only asymmetric information but also heterogenous prior beliefs, under the requirement that the insider publicly disclose his stock trades after the fact. We show that there is an equilibrium in which the irrational insider camoufl…

A network-based approach identifies financial factors from asset interactions, explaining market dynamics.

Study tiling spaces over irrational tori using diffeological classification.

We describe Veech groups of flat surfaces arising from irrational angled polygonal billiards or irreducible stable abelian differentials. For irrational polygonal billiards, we prove that these groups are non-discrete subgroups of SO(2,R) and we calculate their rank.

Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We specifically discuss the role of financial news or economic information positive or n…

Study irrational pencils on complex manifolds, finding non-finitely generated homology.

Study symplectic and Hamiltonian actions on irrational ruled surfaces, proving existence and non-existence of extensions.

We show that the Novikov-Shubin invariant of an element of the integral group ring of the lamplighter group Z_2 \wr Z can be irrational. This disproves a conjecture of Lott and Lueck. Furthermore we show that every positive real number is equal to the Novikov-Shubin invariant of some element of the real group ring of Z…

Study irrational rotations and construct 2-filling rays on infinite type surfaces.

We prove that there are examples of finitely generated groups G together with group ring elements Q \in \bbQ G for which the von Neumann dimension \dim_{LG}\ker Q is irrational, so (in conjunction with other known results) answering a question of Atiyah.

We study the structure of the stable norm of Finsler metrics on the 2-torus with a focus to points of irrational slope. By our results, the stable norm detects KAM-tori and hyperbolicity in the geodesic flow. Moreover, we study the stable norm in some natural examples.

We give examples of finitely presented groups containing elements with irrational (in fact, transcendental) stable commutator length, thus answering in the negative a question of M. Gromov. Our examples come from 1-dimensional dynamics, and are related to the generalized Thompson groups studied by M. Stein, I. Liousse …

New coefficient detects irrational rotation behavior on infinite-type surfaces.

Estimates dimensions of maximal simplices for rational and irrational trees in Outer space.

A new platform models how narratives influence financial markets.

In this paper, we prove that on every Finsler $n$-sphere $(S^n, F)$ for $n\ge 6$ with reversibility $λ$ and flag curvature $K$ satisfying $(\fracλ{λ+1})^2<K\le 1$, either there exist infinitely many prime closed geodesics or there exist $[\frac{n}{2}]-2$ closed geodesics possessing irrational average indices. If in add…

We study the geometry of the Margulis region associated with an irrational screw translation $g$ acting on the 4-dimensional real hyperbolic space. This is an invariant domain with the parabolic fixed point of $g$ on its boundary which plays the role of an invariant horoball for a translation in dimensions $\leq 3$. Th…

Modeling preference rankings with salient features to explain irrational choices.

Standard economic theory assumes that agents in markets behave rationally. However, the observation of extremely large fluctuations in the price of financial assets that are not correlated to changes in their fundamental value, as well as the extreme instance of financial bubbles and crashes, imply that markets (at lea…

Given a discrete subgroup of the isometries of n-dimensional hyperbolic space there is always a region kept precisely invariant under the stabilizer of a parabolic fixed point, called the Margulis region. While in dimensions 2 and 3 this region is a horoball, it has in general a more complicated shape due to the existe…

Study shows HFT benefits large traders under certain conditions.

Investigates market dynamics with informed traders and high-frequency traders.

We develop a model to study the role of rationality in economics and biology. The model's agents differ continuously in their ability to make rational choices. The agents' objective is to ensure their individual survival over time or, equivalently, to maximize profits. In equilibrium, however, rational agents who maxim…

Researchers calculate Morse index and nullity for two specific minimal hypersurfaces.

We introduce a framework for coverings of noncommutative spaces. Moreover, we study noncommutative coverings of irrational quantum tori and characterize all such coverings that are connected in a reasonable sense.

The paper extends option pricing theory for markets with informed traders.

An informed broker optimizes trading strategies in a market influenced by many traders.

Study Nash equilibrium between broker and trader in a lit exchange with price impact.

PRZI traders adapt their quote-prices based on a strategy parameter s, affecting market dynamics.

Study shows unique linear equilibrium in market with constrained trader.

Modeling market dynamics with informed and uninformed traders and fads.

Solves a game between brokers and informed traders using stochastic differential equations.

High-frequency traders can act as either small informed traders or round-trippers, affecting price discovery and liquidity.

Traders underestimated risk-free rates, leading to poor investments.

Model shows how multiple markets can coexist or fragment based on trader behavior.

We report successful results from using deep learning neural networks (DLNNs) to learn, purely by observation, the behavior of profitable traders in an electronic market closely modelled on the limit-order-book (LOB) market mechanisms that are commonly found in the real-world global financial markets for equities (stoc…

Brokers and an informed trader compete for liquidity, affecting trading costs and inventory risk.

Study a market with uncertain informed traders, finding price impact depends on both asset value and informed trader count distribution.

Strategic brokers exploit private information in broker-mediated markets, affecting informed traders' performance.

Maximizing trading volume in online learning framework between traders.

This paper improves robot traders' market impact sensitivity.

In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is \emph{closed}. After that, we discuss two models in which a…

This study models AI traders' impact on financial markets using a multi-agent framework.

The study reveals traders' risk aversion and a new risk premium from market volumes.

Trading strategy advantage based on information asymmetry.

Accurately predicting future behaviors of surrounding vehicles is an essential capability for autonomous vehicles in order to plan safe and feasible trajectories. The behaviors of others, however, are full of uncertainties. Both rational and irrational behaviors exist, and the autonomous vehicles need to be aware of th…

A combination of a priority queueing model and mean field theory shows the emergence of traders' swarm behavior, even when each has a subjective prediction of the market driven by a limit order book. Using a nonlinear Markov model, we analyze the dynamics of traders who select a favorable order price taking into accoun…

Study reveals patterns in trader clusters over time, improving investment predictions.